intertemporal feedback between user adoption and token price accelerates adoption and dampens user-base volatility …

How do Bitcoin prices evolve? What are the consequences for monetary policy? We answer these questions in a novel, yet … keeps the real value of Dollars constant, while Bitcoin production is decentralized via proof-of-work. We obtain a …" condition. Under some conditions, we show that Bitcoin prices form convergent supermartingales or submartingales and derive …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset …-returns distribution. To explore the connection of uncertainty with liquidity, we specify a simple market where a monopolist financial …

Derivative contracts, swaps, and repos enjoy "super-senior" status in bankruptcy: they are exempt from the automatic …, even though this risk could be borne more efficiently by derivative counterparties. In addition, because super …-senior derivatives dilute existing creditors, they may lead firms to take on derivative positions that are too large from a social …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …-dependent options and options on assets with stochastic volatility and jumps. " …

replacement of a real security by synthetic strategies may in itself cause enough uncertainty about the price volatility of the … securities ("cash") and index futures to synthesize a European put on the underlying portfolio. In the absence of a real traded … volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

, liquidity providers lose. Since information generates volatility, and volatility co-moves across assets, liquidity providers … in option markets, and their predictability by VIX in the time series. Volatility risk thus explains the liquidity …Liquidity provision is a bet against private information: if private information turns out to be higher than expected …

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …